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Uncertainty in historical value-at-risk : an alternative quantile-based risk measure

Guégan, Dominique; Hassani, Bertrand; Li, Kehan - In: Mathematical and statistical methods for actuarial …, (pp. 119-128). 2017

Persistent link: https://www.econbiz.de/10012098775

Measuring risks in the tail: the extreme VaR and its confidence interval

Guégan, Dominique; Hassani, Bertrand; Li, Kehan - In: Risk and decision analysis 6 (2017) 3, pp. 213-224

Persistent link: https://www.econbiz.de/10011925077

More accurate measurement for enhanced controls : VaR vs ES?

Guégan, Dominique; Hassani, Bertrand - In: Journal of international financial markets, … 54 (2018), pp. 152-165

Persistent link: https://www.econbiz.de/10011984039

Credit risk analysis using machine and deep learning models

Addo, Peter Martey; Guégan, Dominique; Hassani, Bertrand - In: Risks : open access journal 6 (2018) 2, pp. 1-20

Due to the advanced technology associated with Big Data, data availability and computing power, most banks or lending institutions are renewing their business models. Credit risk predictions, monitoring, model reliability and effective loan processing are key to decision-making and transparency....

Persistent link: https://www.econbiz.de/10011866377